Pricing American interest rate claims with humped volatility models

B-Tier

Journal: Journal of Banking & Finance

Year: 1997

Volume: 21

Issue: 8

Pages: 1131-1157

Authors (2)

Moraleda, Juan M. (not in RePEc) Vorst, Ton C. F. (Vrije Universiteit Amsterdam)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count